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TERES: Tail Event Risk Expectile Shortfall

  • Published:2020-10-02 Issue:3 Volume:21 Page:449-460
  • ISSN:1469-7688
  • Container-title:Quantitative Finance
  • language:en
  • Short-container-title:Quantitative Finance

Author:

Mihoci Andrija12,Härdle Wolfgang Karl34567,Chen Cathy Yi-Hsuan38

Affiliation:

1. German University in Cairo, Berlin, Germany

2. Berlin School of Economics and Law, Berlin, Germany

3. Humboldt-Universität zu Berlin, Berlin, Germany

4. Xiamen University, Xiamen, People's Republic of China

5. Singapore Management University, Singapore, Singapore

6. Charles University, Praha, Czech Republic

7. National Chiao Tung University, Hsinchu, Taiwan

8. University of Glasgow, Glasgow, UK

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Reference36 articles.

1. Coherent measures of risk in everyday market practice†

2. Acerbi, C. Nordio, C. and Sirtori, C. , Expected shortfall as a tool for financial risk management. arXiv preprint cond-mat/0102304, 2001.

3. On the coherence of expected shortfall

4. Artzner, P. Delbaen, F. Eber, J.M. and Heath, D. , Coherent measures of risk. http://www.math.ethz.ch/delbaen/ftp/preprints/CoherentMF.pdf, 1998.

5. Basel Committee on Banking Supervision , Fundamental review of the trading book: A revised market risk framework. Consultative Document, 2013.

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